Tri-Party Repo Data: December 2016, January & February 2017

The Federal Reserve Bank of New York (FRBNY) continues to track and release monthly statistics of the U.S. tri-party repo market. This post concerns the December 2016, January 2017 and February 2017 (the “Three-Month Period”) statistics.

Total collateral in the U.S. tri-party repo market rose near its multi-year high to $1.759 trillion in December before decreasing to just above $1.70 trillion for January and February 2017. As of February 9, 2017, total collateral has remained above the $1.70 trillion level for the last five months since rising above that level in October 2016 for the first time since 2013. As of February 9, 2017, U.S. Treasuries excluding Strips collateral was $819.18 billion, marking a fifth straight month above the $800 billion level. Back in February 2016, Equities collateral dropped from $137.54 in January 2016 to $113.66. During the Three-Month Period, Equities collateral hovered around the $120 billion level, and was $122.49 billion as of February 9, 2017. Agency Debentures and Strips and Agency Collateralized Mortgage Obligations (CMOs) have been on a downward trend since the FRBNY began collecting statistics on the tri-party repo market in 2010. Agency Debentures and Strips fell to an all-time low in January 2017 to $36.72 billion. Agency CMOs remained just above the all-time low of $53.82 billion (Oct. 2016) during the Three-Month Period.

Median margin levels for the Fedwire-eligible collateral types were unchanged during the Three-Month Period. Median margin levels for Collateralized Debt Obligations collateral nearly doubled during the Three-Month Period from 6% in November 2016 to 10% in February 2017. For International Securities collateral, median margin levels fell by more than half from 5% in November 2016 to 2% in February 2017. Median margin levels for Whole Loans collateral dropped between November and December 2016 from 6% to 2.8% before rising back to 6% in January 2017.